Boolean modifier shows object as hollow at the cut out
I think your problem was that you never actually applied the modifier before deleting your carving object. Otherwise, as you can see, after I deleted your modifiers to restart with a fresh one, I could achieve the desired effect. I hope this helped.
EDIT:
Here's a .gif of the procedure:

delete the pending modifiers
create a UV sphere (scale it down and drag it around)
create a new modifier
apply it
delete the sphere